Each level has 1-2 collectibles. You do not need all of them as the achievement unlocks when you get 8 collectibles. Go up to the item and Press A to collect it.
Please note: This game is bigger than the achievements needed. Some areas you do not go to for the story achievements so there might be even more collectibles there, but I am writing here any collectibles I personally found, but there are plenty of buildings etc you can go in that I did not. This very different from the first game which just seemed to randomly send you on a mission this one lets you control your fate a bit more.
There is level select at the harbor.
If you go in your house you will be able to see collected items as Peppa will point them out. She pointed out a chef's hat and a sock which I don't remember picking up at all so not sure where those came from.
Anything that Peppa points out in your house and says "I remember this" seems to count as a souvenir as it appears there after you collect it in a level.
Feel free to comment if you find others and I will add them to the list.
New York -
1. To the left of the building you start at after the Taxi ride you will see an I Love NY sticker in front of the mailbox.
1. The Candy Cane you put on the tree counts as a souvenir.
1. There are multiple flower stands you will walk by as you walk to the right, but keep walking until Peppa picks the one she wants to go to. From there talk to the shop keeper and Peppa will give you a vase. From here you need to go to all 3 flower stands which are very linear left to right and then walk to Momma Pig who is back to the left near the first flower stand and give her the flowers to take home with her.
2. The soccer ball you play with on the beach appears to be a collectible as it showed up on lawn after and Peppa pointed it out as something she remembered.
1. When given the choice of the Plane or the Bus pick the Bus. When arriving at the beach there is a shell right in front of you to collect.
1. Once you wind up in the square with all the puddles after the queen's bus ride you will see a paper airplane off to the left.
1. When arriving in Italy walk to the right to get to the town square. There will be a souvenir shop talk to the shopkeeper and you can choose between a gnome and plate. Pick the Gnome. (The achievement unlocked for me here so there is prob other items before this I interacted with that count, but I didn't write them down so not sure what they were as I said though there is more than 8 collectibles in this game and you only need 8.)
2. You will walk near the mailbox which is off to the right past the pizza place. When you are close enough Peppa will suggest getting a postcard. Go back to the souvenir shop, collect the postcard, then go back right to mail it.
1. Bread on the table in the first area you are in. You will see Daddy pig sitting with a rabbit. The bread is on that table.
2. Buy one at the souvenir shop with Mommy Pig. Walk to the right from the starting area past the ice cream cart to get here.
1. The photo taken at the end of the movie you star in seems to count as a souvenir.
Post Game (You need to click continue at the main menu to access this):
1. The net you used in Hollywood for the last mission will show up at your house.
2. The stained glass windows you saw during the game will also appear in your house.